Now hypothetically assuming I was doing cow food online, I might make my domain cowfood .com and brand it as "Cow Food Online." That way you get a bonus when people search for [cow food], which is likely to be orders of magnitude more than [cow food online].
As patio mentioned, there is the exact match bonus where your domain (com/net/org) matches the query exactly. Also, an exact match domain tends to lead to anchor text (inbound links) with the keyword. So the one-two punch of an EMD (exact match domain + keyword-rich anchor text) is extremely helpful.
One word of caution with EMDs... I bought an EMD CattleTags.com for an e-commerce store and have had to work on my branding to encourage people to link to me as "Cattle Tags Online" or "Cattle Tags Store" rather than "CattleTags.com" which isn't as desirable.
In short part of SEO is knowing what your customers are searching for, and targeting that.